Assuming loss aversion, stochastic investment and labor income processes, and a path-dependent target fund, we show that the optimal investment strategy for defined contribution pension plan members is a target-driven 'threshold' strategy. With this strategy, the equity allocation is increased...

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to hedge their aggregate longevity risk. There are also wider...

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of...

A single valuation basis (using market values) now dominates the valuation of pension scheme assets and has replaced the previously dominant actuarial and accounting bases.The same cannot be said for pension scheme liabilities. There are three different valuation bases for liabilities currently...

The purpose of ‘Annuities and Accessibility' is very specific: to stimulate the debate in the defined contribution (DC) market with reference to the annuity purchase decision, which is and will remain the most common mechanism consumers use to convert a DC fund to an income stream in...

One of the key motivations in the construction of ever more sophisticated mortality models was the realisation of the importance of “cohort effects” in the historical data. However, these are often difficult to estimate robustly, due to the identifiability issues present in age/period/cohort...

The addition of a set of cohort parameters to a mortality model can generate complex identifiability issues due to the collinearity between the dimensions of age, period and cohort. These issues can lead to robustness problems and difficulties making projections of future mortality rates. Since...

As the field of modelling mortality has grown in recent years, the number and importance of identifiability issues within mortality models has grown in parallel. This has led both to robustness problems and to difficulties in making projections of future mortality rates. In this paper, we...

The gravity model of Dowd et al. (2011) was introduced in order to achieve coherent projections of mortality between two related populations. However, this model as originally formulated is not well-identified since it gives projections which depend on the arbitrary identifiability constraints...

We portray the valuation of financial investments as mental time travel. In a series of thought investments, a $1 invested in an investment fund is projected forward in time and then discounted back to the present, both exponentially and hyperbolically. These thought investments feature...